Edit Profile (opens in new tab) Hainaut, Donatien Compute Distance To: Compute Author ID: hainaut.donatien Published as: Hainaut, Donatien Documents Indexed: 38 Publications since 2006, including 3 Books Co-Authors: 16 Co-Authors with 24 Joint Publications 476 Co-Co-Authors all top 5 Co-Authors 14 single-authored 5 Devolder, Pierre 4 Deelstra, Griselda 4 Denuit, Michel M. 3 Trufin, Julien 2 Ketelbuters, John-John 1 Dupret, Jean-Loup 1 Goutte, Stéphane 1 le Courtois, Olivier 1 Leonenko, Nikolai N. 1 MacGilchrist, Renaud 1 Moraux, Franck 1 Njike Leunga, Charles Guy 1 Pelsser, Antoon A. J. 1 Robert, Christian Yann 1 Shen, Yang 1 Zeng, Yan all top 5 Serials 11 Insurance Mathematics & Economics 4 Journal of Computational and Applied Mathematics 3 International Journal of Theoretical and Applied Finance 3 Quantitative Finance 3 ASTIN Bulletin 3 Springer Actuarial 2 Annals of Operations Research 2 European Journal of Operational Research 2 Annals of Finance 1 Journal of Economic Dynamics & Control 1 Methodology and Computing in Applied Probability 1 Mathematics and Financial Economics 1 Belgian Actuarial Bulletin 1 European Actuarial Journal all top 5 Fields 37 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Probability theory and stochastic processes (60-XX) 11 Statistics (62-XX) 3 Computer science (68-XX) 2 Systems theory; control (93-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Numerical analysis (65-XX) 1 Geophysics (86-XX) 1 Operations research, mathematical programming (90-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 28 Publications have been cited 145 times in 128 Documents Cited by ▼ Year ▼ Mortality modelling with Lévy processes. Zbl 1141.91516Hainaut, Donatien; Devolder, Pierre 19 2008 Multidimensional Lee-Carter model with switching mortality processes. Zbl 1235.91091Hainaut, Donatien 12 2012 Management of a pension fund under mortality and financial risks. Zbl 1119.91053Hainaut, Donatien; Devolder, Pierre 11 2007 A model for interest rates with clustering effects. Zbl 1400.91630Hainaut, Donatien 11 2016 A neural-network analyzer for mortality forecast. Zbl 1390.91186Hainaut, Donatien 9 2018 Dynamic asset allocation under VaR constraint with stochastic interest rates. Zbl 1183.91165Hainaut, Donatien 8 2009 Contagion modeling between the financial and insurance markets with time changed processes. Zbl 1394.91218Hainaut, Donatien 8 2017 Strategic asset allocation with switching dependence. Zbl 1298.91138Hainaut, Donatien; MacGilchrist, Renaud 6 2012 Impulse control of pension fund contributions, in a regime switching economy. Zbl 1339.91141Hainaut, Donatien 6 2014 Impact of volatility clustering on equity indexed annuities. Zbl 1371.91090Hainaut, Donatien 6 2016 Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197Hainaut, Donatien; Deelstra, Griselda 6 2014 Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150Hainaut, Donatien; Deelstra, Griselda 5 2014 Life annuitization why and how much? Zbl 1162.91414Hainaut, Donatien; Devolder, Pierre 5 2006 An intensity model for credit risk with switching Lévy processes. Zbl 1402.91846Hainaut, Donatien; Le Courtois, Olivier 5 2014 Effective statistical learning methods for actuaries I. GLMs and extensions. Zbl 1426.62003Denuit, Michel; Hainaut, Donatien; Trufin, Julien 5 2019 A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502Hainaut, Donatien; Moraux, Franck 4 2019 Wavelet-based feature extraction for mortality projection. Zbl 1454.91190Hainaut, Donatien; Denuit, Michel 3 2020 Clustered Lévy processes and their financial applications. Zbl 1358.60062Hainaut, Donatien 3 2017 Option pricing in illiquid markets: a fractional jump-diffusion approach. Zbl 1447.91174Hainaut, Donatien; Leonenko, Nikolai 2 2021 A switching microstructure model for stock prices. Zbl 1417.91565Hainaut, Donatien; Goutte, Stephane 2 2019 Effective statistical learning methods for actuaries III. Neural networks and extensions. Zbl 1426.62002Denuit, Michel; Hainaut, Donatien; Trufin, Julien 2 2019 Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403Njike Leunga, Charles Guy; Hainaut, Donatien 1 2020 Effective statistical learning methods for actuaries II. Tree-based methods and extensions. Zbl 1451.62003Denuit, Michel; Hainaut, Donatien; Trufin, Julien 1 2020 The annuity puzzle revisited: a deterministic version of Lagrangian methods. Zbl 1356.91058Devolder, Pierre; Hainaut, Donatien 1 2006 A self-organizing predictive map for non-life insurance. Zbl 1422.91352Hainaut, Donatien 1 2019 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Zbl 1416.91396Hainaut, Donatien; Shen, Yang; Zeng, Yan 1 2018 Hedging of crop harvest with derivatives on temperature. Zbl 1419.91367Hainaut, Donatien 1 2019 Option pricing in illiquid markets: a fractional jump-diffusion approach. Zbl 1447.91174Hainaut, Donatien; Leonenko, Nikolai 2 2021 Wavelet-based feature extraction for mortality projection. Zbl 1454.91190Hainaut, Donatien; Denuit, Michel 3 2020 Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403Njike Leunga, Charles Guy; Hainaut, Donatien 1 2020 Effective statistical learning methods for actuaries II. Tree-based methods and extensions. Zbl 1451.62003Denuit, Michel; Hainaut, Donatien; Trufin, Julien 1 2020 Effective statistical learning methods for actuaries I. GLMs and extensions. Zbl 1426.62003Denuit, Michel; Hainaut, Donatien; Trufin, Julien 5 2019 A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502Hainaut, Donatien; Moraux, Franck 4 2019 A switching microstructure model for stock prices. Zbl 1417.91565Hainaut, Donatien; Goutte, Stephane 2 2019 Effective statistical learning methods for actuaries III. Neural networks and extensions. Zbl 1426.62002Denuit, Michel; Hainaut, Donatien; Trufin, Julien 2 2019 A self-organizing predictive map for non-life insurance. Zbl 1422.91352Hainaut, Donatien 1 2019 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 Hedging of crop harvest with derivatives on temperature. Zbl 1419.91367Hainaut, Donatien 1 2019 A neural-network analyzer for mortality forecast. Zbl 1390.91186Hainaut, Donatien 9 2018 How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Zbl 1416.91396Hainaut, Donatien; Shen, Yang; Zeng, Yan 1 2018 Contagion modeling between the financial and insurance markets with time changed processes. Zbl 1394.91218Hainaut, Donatien 8 2017 Clustered Lévy processes and their financial applications. Zbl 1358.60062Hainaut, Donatien 3 2017 A model for interest rates with clustering effects. Zbl 1400.91630Hainaut, Donatien 11 2016 Impact of volatility clustering on equity indexed annuities. Zbl 1371.91090Hainaut, Donatien 6 2016 Impulse control of pension fund contributions, in a regime switching economy. Zbl 1339.91141Hainaut, Donatien 6 2014 Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197Hainaut, Donatien; Deelstra, Griselda 6 2014 Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150Hainaut, Donatien; Deelstra, Griselda 5 2014 An intensity model for credit risk with switching Lévy processes. Zbl 1402.91846Hainaut, Donatien; Le Courtois, Olivier 5 2014 Multidimensional Lee-Carter model with switching mortality processes. Zbl 1235.91091Hainaut, Donatien 12 2012 Strategic asset allocation with switching dependence. Zbl 1298.91138Hainaut, Donatien; MacGilchrist, Renaud 6 2012 Dynamic asset allocation under VaR constraint with stochastic interest rates. Zbl 1183.91165Hainaut, Donatien 8 2009 Mortality modelling with Lévy processes. Zbl 1141.91516Hainaut, Donatien; Devolder, Pierre 19 2008 Management of a pension fund under mortality and financial risks. Zbl 1119.91053Hainaut, Donatien; Devolder, Pierre 11 2007 Life annuitization why and how much? Zbl 1162.91414Hainaut, Donatien; Devolder, Pierre 5 2006 The annuity puzzle revisited: a deterministic version of Lagrangian methods. Zbl 1356.91058Devolder, Pierre; Hainaut, Donatien 1 2006 all cited Publications top 5 cited Publications all top 5 Cited by 221 Authors 21 Hainaut, Donatien 5 Blake, David 5 Yao, Haixiang 4 Deelstra, Griselda 4 Denuit, Michel M. 4 Jin, Zhuo 4 Wang, Chou-Wen 3 Bernis, Guillaume 3 Devolder, Pierre 3 Li, Zhongfei 3 MacMinn, Richard D. 3 Qian, Linyi 3 Scotti, Simone 3 Sherris, Michael 3 Trufin, Julien 2 Börger, Matthias 2 Brignone, Riccardo 2 Cairns, Andrew J. G. 2 Dadashi, Hassan 2 Donnelly, Catherine 2 Huang, Hong-Chih 2 Josa-Fombellida, Ricardo 2 Ketelbuters, John-John 2 Korn, Ralf 2 Lai, Yongzeng 2 le Courtois, Olivier 2 Li, Johnny Siu-Hang 2 Li, Shuanming 2 Linders, Daniël 2 Liu, Guo 2 Loisel, Stéphane 2 Rincón-Zapatero, Juan Pablo 2 Schupp, Johannes 2 Scognamiglio, Salvatore 2 Serrano, Rafael 2 Sgarra, Carlo 2 Shen, Yang 2 Tan, Ken Seng 2 Tsai, Jeffrey Tzuhao 2 Tzeng, Larry Yu-Ren 2 Wang, Jennifer L. 2 Wang, Rongming 2 Wüthrich, Mario Valentin 2 Yang, Sharon S. 2 Zhu, Wenjun 1 Aase, Knut Kristian 1 Ahmadi, Seyed Saeed 1 Aktaev, Nurken E. 1 Albrecher, Hansjörg 1 Angelini, Flavio 1 Antonio, Katrien 1 Araujo-Acuna, José Carlos 1 Bahl, Raj Kumari 1 Bannova, K. A. 1 Bao, Jiayong 1 Barbarin, Jérome 1 Bäuerle, Nicole 1 Beirlant, Jan 1 Bernhardt, Thomas 1 Bian, Baojun 1 Bian, Lihua 1 Bielecki, Tomasz R. 1 Bonneuil, Noël 1 Bonnin, François 1 Boucekkine, Raouf 1 Boumezoued, Alexandre 1 Buckley, Winston S. 1 Chen, Bingzheng 1 Chen, Dianfa 1 Chen, Hua 1 Chen, Ping 1 Chen, Yiling 1 Cheng, Hung-Wen 1 Christensen, Bent Jesper 1 Cialenco, Igor 1 Corradin, Alexandre 1 Cui, Lirong 1 Cummins, J. David 1 Dassios, Angelos 1 De Angelis, Tiziano 1 Deng, Jun 1 Detyniecki, Marcin 1 Dhaene, Jan 1 Dias, José G. 1 Doan, Bao Quoc 1 Dowd, Kevin 1 Dutang, Christophe 1 El Karoui, Nicole 1 Elfassihi, Amal 1 Feng, Jianfen 1 Feng, Runhuan 1 Fontana, Claudio 1 Gabrielli, Andrea 1 Gaillardetz, Patrice 1 Gao, Guangyuan 1 Gauchon, Romain 1 Gnoatto, Alessandro 1 Gong, Ruoting 1 Goutte, Stéphane 1 Grari, Vincent ...and 121 more Authors all top 5 Cited in 34 Serials 40 Insurance Mathematics & Economics 10 European Journal of Operational Research 10 ASTIN Bulletin 7 Journal of Computational and Applied Mathematics 7 Scandinavian Actuarial Journal 6 European Actuarial Journal 5 Quantitative Finance 4 North American Actuarial Journal 4 Mathematics and Financial Economics 3 Annals of Operations Research 3 Communications in Statistics. Theory and Methods 2 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance 2 Decisions in Economics and Finance 2 Journal of Industrial and Management Optimization 2 Annals of Finance 1 Advances in Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Physica A 1 Probability and Mathematical Statistics 1 International Journal of Approximate Reasoning 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 Fractals 1 Abstract and Applied Analysis 1 Communications in Nonlinear Science and Numerical Simulation 1 Methodology and Computing in Applied Probability 1 Computational & Mathematical Methods in Medicine 1 SIAM Journal on Financial Mathematics 1 Science China. Mathematics 1 Statistics and Computing 1 Mathematical Control and Related Fields 1 Statistics & Risk Modeling 1 Cogent Mathematics all top 5 Cited in 14 Fields 110 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 46 Probability theory and stochastic processes (60-XX) 27 Statistics (62-XX) 17 Systems theory; control (93-XX) 10 Computer science (68-XX) 8 Numerical analysis (65-XX) 8 Operations research, mathematical programming (90-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 5 General and overarching topics; collections (00-XX) 3 Partial differential equations (35-XX) 2 Biology and other natural sciences (92-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year